Where is the Market? Evidence from Cross-Listings in the U.S

Michael Halling, Marco Pagano, Otto Randl and Josef Zechner
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Michael Halling: University of Vienna
Otto Randl: University of Vienna and ISK

CSEF Working Papers from Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy

Abstract: We explore two main questions. First, can two markets for a company’s shares coexist and, if so, what determines the distribution of trading volume across them? For firms cross-listed in the U.S. we find that in most cases U.S. trading is a significant fraction of total volume, and tends to be larger for companies based in countries that are geographically close, with low financial development and poor anti-insider trading protection. Moreover, the relative size of the U.S. market is larger if the company is small, volatile and high-tech. Second, we ask whether developing an active foreign market entails lower domestic trading activity. We find that for firms based in developed markets, the domestic turnover rate increases in the wake of cross-listing and remains permanently higher. In contrast, emerging market firms tend to experience a decrease in domestic trading activity.

Keywords: trading volume; cross-listing; flow-back (search for similar items in EconPapers)
JEL-codes: G15 G30 (search for similar items in EconPapers)
Date: 2004-11-01, Revised 2006-12-01
New Economics Papers: this item is included in nep-eec
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Citations: View citations in EconPapers (5)

Published in Review of Financial Studies, 2008, vol. 21(2), pages 725-761

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Persistent link: https://EconPapers.repec.org/RePEc:sef:csefwp:129

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